IV075 Seminar on stochastic methods

Faculty of Informatics
Autumn 2013
Extent and Intensity
0/0/4. 2 credit(s). Type of Completion: z (credit).
Teacher(s)
doc. RNDr. Tomáš Brázdil, Ph.D. (lecturer)
prof. RNDr. Antonín Kučera, Ph.D. (lecturer)
doc. RNDr. Petr Novotný, Ph.D. (lecturer)
Guaranteed by
prof. RNDr. Mojmír Křetínský, CSc.
Department of Computer Science – Faculty of Informatics
Contact Person: prof. RNDr. Antonín Kučera, Ph.D.
Supplier department: Department of Computer Science – Faculty of Informatics
Timetable
Tue 10:00–11:50 G191m
Prerequisites (in Czech)
SOUHLAS
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
there are 39 fields of study the course is directly associated with, display
Course objectives
The course concentrates on selected topics in applied probability theory and game theory motivated by concrete practical problems. For each problem, a minimal amount of mathematical theory sufficient for solving the problem is presented. Then, the students are asked to solve the initial problem by using appropriate software tools.
A special attention is devoted to the following areas:
Markov decision processes and stochastic games. Modelling and analysis of basic board games, the existence and computation of equilibrium values and optimal strategies.
The existence, properties, and computation of stationary distributions in Markov chains. PageRank and similar applications.
Multiplayer games. Nash equlibria. Internet auctions.
Syllabus
  • Stochastic processes. Markov chains and Markov Decision Processes. Expected termination time. Stochastic games.
  • Stationary distribution. Ergodic Theorem. Web graph as a Markov chain.
  • Multi-player games. Nash equilibria. Internet auctions.
Literature
  • PUTERMAN, Martin L. Markov decision processes : discrete stochastic dynamic programming. Hoboken, N.J.: Wiley-Interscience, 2005, xvii, 649. ISBN 0471727822. info
  • HERMANNS, Holger. Interactive markov chains : and the quest for quantified quality. Berlin: Springer, 2002, xii, 217. ISBN 3540442618. info
  • FILAR, Jerzy A. and Koos VRIEZE. Competitive Markov decision processes : with 57 illustrations. New York: Springer, 1997, xii, 393. ISBN 0387948058. info
  • CHUNG, Kai Lai. Markov chains : with stationary transition probabilities. Berlin: Springer-Verlag, 1967, x, 301. info
Teaching methods
Lectures, reading, discussions.
Assessment methods
Oral exam.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
Information on completion of the course: Opakující se předmět, lze zapsat každý semestr
The course is taught each semester.
Information on course enrolment limitations: Výlučně po dohodě s přednášejícím
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2012.
  • Enrolment Statistics (recent)
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